Structural Macroeconometrics: Second Edition

Medientyp: E-Book

Titel: Structural Macroeconometrics : Second Edition

Enthält: Frontmatter
Contents
Preface
Preface to the First Edition
Part I Introduction
Chapter 1 Background and Overview
Chapter 2 Casting Models in Canonical Form
Chapter 3 DSGE Models: Three Examples
Part II Model Solution Techniques
Chapter 4 Linear Solution Techniques
Chapter 5 Nonlinear Solution Techniques
Part III Data Preparation and Representation
Chapter 6 Removing Trends and Isolating Cycles
Chapter 7 Summarizing Time Series Behavior When All Variables Are Observable
Chapter 8 State-Space Representations
Part IV Monte Carlo Methods
Chapter 9 Monte Carlo Integration: The Basics
Chapter 10 Likelihood Evaluation and Filtering in State-Space Representations Using Sequential Monte Carlo Methods
Chapter 11 Calibration
Chapter 12 Matching Moments
Chapter 13 Maximum Likelihood
Chapter 14 Bayesian Methods
References
Index

Beteiligte: DeJong, David N. [VerfasserIn]; Dave, Chetan [VerfasserIn]

Erschienen: Princeton, NJ: Princeton University Press, 2011

Umfang: 1 Online-Ressource (440 p.); 57 line illus. 21 tables

Sprache: Englisch

DOI: 10.1515/9781400840502

ISBN: 9781400840502

Identifikator:

Schlagwörter: Business enterprises ; Business ; Macroeconomics Econometric models ; Macroeconomics ; BUSINESS & ECONOMICS / Economics / Macroeconomics ; Forecast error ; Forecasting ; Fourier transform ; Household ; Identity matrix ; Implementation ; Importance sampling ; Inference ; Iteration ; Jacobian matrix and determinant ; Kalman filter ; Lag operator ; Likelihood function ; Likelihood-ratio test ; Linear combination ; Linearization ; Log-linear model ; Loss function ; Mathematical optimization ; [...]

Entstehung:

Anmerkungen: In English

Beschreibung: The revised edition of the essential resource on macroeconometricsStructural Macroeconometrics provides a thorough overview and in-depth exploration of methodologies, models, and techniques used to analyze forces shaping national economies. In this thoroughly revised second edition, David DeJong and Chetan Dave emphasize time series econometrics and unite theoretical and empirical research, while taking into account important new advances in the field.The authors detail strategies for solving dynamic structural models and present the full range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The authors look at recent strides that have been made to enhance numerical efficiency, consider the expanded applicability of dynamic factor models, and examine the use of alternative assumptions involving learning and rational inattention on the part of decision makers. The treatment of methodologies for obtaining nonlinear model representations has been expanded, and linear and nonlinear model representations are integrated throughout the text. The book offers a rich array of implementation algorithms, sample empirical applications, and supporting computer code.Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals

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